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Investment Associate, Market Risk Management
Prudential Securities
Newark, NJ, United States
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Description
The mission of Enterprise Risk Management (ERM) is to ensure that Prudential has a comprehensive framework for understanding the risks embedded in and across its businesses, so that the company can manage these risks effectively, evaluate current and future risk challenges and opportunities, and enhance shareholder value. Market Risk Management (“MRM”) is the unit of Enterprise Risk Management responsible for measuring, analyzing drivers of and managing interest rate, foreign exchange and equity risk as well as establishing a limit framework to control the potential impact of these risks on economic value, income, capital and liquidity.
MRM is comprised of three primary, complementary functional areas: Market Risk Methodology & Analytics, Market Risk Reporting & Portfolio Analysis and Product Risk Management. These functional areas are supported and coordinated by the Chief Market Risk Officer.
This role within Product Risk Management will be part of a small, but highly impactful, technical team with a mix of actuarial and quantitative talent, responsible for quantitative risk assessment, product-level stress testing and engagement with technical disciplines across the enterprise to support the completeness, accuracy and efficacy of market risk methodologies, reporting, and review of new products.
This position will be responsible for:
1. Conducting research activities to develop an extensive knowledge of underlying product characteristics and using these insights to drive enhancements in market risk methodology, analytics and limit frameworks.
2. Reviewing and supporting market risk reporting and portfolio analysis. Manage the production of Variable Annuity Market Risk Adjusted Capital (RAC)
3. Performing technical analysis of new business, hedging and other initiatives in order to support the Risk Identification & Assessment team
4. Help develop and maintain analytic tools used in measuring Interest Rate risk across the Enterprise
Qualifications
• Bachelor’s degree in Mathematics, Finance, Economics, Engineering or another heavily quantitative discipline. Modeling/Programming experience: MATLAB, C++, Python. Actuarial exam progress is also helpful.
• 3+ years of experience in insurance, consulting, and/or investment bank environment. Experience in complex actuarial and financial analysis, fixed income markets, derivative modeling and/or portfolio asset liability management. Knowledge of life insurance and annuity products.
• A motivated self-starter capable of developing the necessary knowledge and experience. Problem-solving skills that utilize quantitative modeling.
• Strong reasoning and excellent communication skills. Ability to understand complex actuarial, investment and financial issues and synthesize knowledge into a clear, concise view, reflecting unique insights based upon thoughtful analysis, to inform senior management decision-making.